December 2025
Intermediate to advanced
240 pages
6h 3m
English
Content preview from Applied Time Series Analysis for the Social Sciences
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12A Brief Introduction to Vector Autoregression
To the uninitiated, Vector Autoregression (VAR) often appears appallingly atheoretical; the approach is quite a departure from the recommendation to write a statistical model based on theory and then estimate the associated parameters. To use VAR to assess the relationship between consumption and income, for example, one would begin with the following model:
(12.1)
and
(12.2)
where
is consumption,
is income,
and 
are constant terms to be estimated,- the
s and 
s are coefficients to be estimated, and 
and
As mentioned in Chapter 1, however, ...
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